Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models
Denis-Alexandre Trottier & David Ardia
| Résumé |
We provide general expressions for obtaining raw, absolute and
conditional moments for a standardized version of the class of
skewed distributions proposed by Fernandez and Steel (1998). We
show that these expressions are readily programmable in addition of
greatly reducing the computational cost. We discuss several
applications that are relevant for the purpose of estimating
asymmetric conditional volatility models under skewed
distributions. |
| Mots-clés |
Asymmetric GARCH, Backtesting, Bayesian, Maximum likelihood, Skewness |
| Citation | Trottier, D. A., & Ardia, D. (2016). Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models. Finance Research Letters, 18, 311-316. |
| Type | Article de périodique (Anglais) |
| Date de publication | 8-2016 |
| Nom du périodique | Finance Research Letters |
| Volume | 18 |
| Pages | 311-316 |
| URL | http://www.sciencedirect.com/science/article/pii/S1544612... |
| Liée au projet | Gestion des risques financiers : l'incidence de l'estimat... |